IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Endogeneity in Nonlinear Regressions with Integrated Time Series

Listed author(s):
  • Joon Y. Park
  • Yoosoon Chang

This paper considers the nonlinear regression with integrated regressors that are contemporaneously correlated with the regression error. We, in particular, establish the consistency and derive the limiting distribution of the nonlinear least squares estimator under such endogeneity for the regressions with the integrable or asymptotically homogeneous regression function. For the regressions with both the integrable and asymptotically homogeneous regression functions, it is shown that the estimator is consistent and has the same rate of convergence as for the case of the regressions with no endogeneity. Whether or not the limiting distribution is affected by the presence of endogeneity, however, depends upon the type of the regression function. If the regression function is asymptotically homogeneous, the limiting distribution of the least squares estimator has an additional term reflecting the presence of endogeneity. On the other hand, the endogeneity does not have any effect on the least squares limit theory, if the regressions function is integrable. Regardless of the presence of endogeneity, the least squares estimator has the same limiting distribution in this case. As an illustration of our theory, we consider the logistic regression with an integrated time series that has contemporaneous correlation with the regression error

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 594.

in new window

Date of creation: 11 Aug 2004
Handle: RePEc:ecm:nawm04:594
Contact details of provider: Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ecm:nawm04:594. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.